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20 novembre 2023
- handle: 10670/1.lbbnp0
- hal: hal-04324779
- doi: 10.1007/s00181-023-02524-5
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1007/s00181-023-02524-5
Mots-clés
Macroprudential policy Financial stability Panel data Systemic risk C - Mathematical and Quantitative Methods/C.C2 - Single Equation Models • Single Variables/C.C2.C23 - Panel Data Models • Spatio-temporal Models E - Macroeconomics and Monetary Economics/E.E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook/E.E6.E61 - Policy Objectives • Policy Designs and Consistency • Policy Coordination G - Financial Economics/G.G1 - General Financial Markets/G.G1.G18 - Government Policy and Regulation G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G21 - Banks • Depository Institutions • Micro Finance Institutions • Mortgages G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G23 - Non-bank Financial Institutions • Financial Instruments • Institutional InvestorsSujets proches
Financial intermediaries Lending institutionsCiter ce document
Hamdi Jbir et al., « Macroprudential policy and financial system stability: an aggregate study », HAL-SHS : économie et finance, ID : 10.1007/s00181-023-02524-5
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Résumé
This paper investigates the impact of macroprudential policy announcements on financial stability in Europe. Our three financial (in)stability proxies are systemic risk measures that cover all types of financial institutions and consider various financial market segments. We find that the announcements of macroprudential policy actions only contain banking systemic risk with the latter computed based on market data. However, when measuring systemic risk by including both market and balance sheet data, we observe an increase in the systemic risk of all financial institutions, banks and non-banks. This last result is confirmed when considering non-diversifiable risk across financial market segments.